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Question: A company expects to receive ¥ 5,650,000 from a customer each quarter for the next year. It would like to hedge the exchange rate risk of this payment by entering into a swap to receive a fixed US dollar payment. The expected exchange rates for the ¥ (in $ per ¥) for the next four quarters are: 0.008816, 0.008858, 0.008903, and 0.008954. The risk free interest rates for 90-day, 180-day, 270-day and 1-year loans are: 0.805%, 0.95%, 1.08%, and 1.21%. What will the terms of the swap be?

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Category:- Basic Finance
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